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Discussion Paper Details

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Title: The Total Cost of Trading Belgian Shares: Brussels versus London

Author(s): Hans Degryse

Publication Date: February 1997

Keyword(s): Brussels stock exchange, Cost of Trading Shares and SEAQ International

Programme Area(s): Financial Economics

Abstract: Since 1990, London?s SEAQ International attracts considerable trading volume in Belgian equities. This paper uses transaction, quotation and limit order book data to investigate competition between the Brussels CATS market and SEAQ International. It focuses in more detail on the liquidity (indirect costs) measured by the quoted and effective bid-ask spread. CATS outweighs SEAQI for both measures. The effective spread is substantially smaller than the quoted spread. The CATS effective spread shows a U-shaped form. This is in line with the different market micro-structure models. Total trading costs on CATS are lower (higher) for small (large) trade sizes.

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Bibliographic Reference

Degryse, H. 1997. 'The Total Cost of Trading Belgian Shares: Brussels versus London'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=1581